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The Output Effects of Money Growth Uncertainty: Evidence from a Multivariate GARCH-in-Mean VAR

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  • Apostolos Serletis

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  • Sajjadur Rahman

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File URL: http://hdl.handle.net/10.1007/s11079-008-9101-9
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Bibliographic Info

Article provided by Springer in its journal Open Economies Review.

Volume (Year): 20 (2009)
Issue (Month): 5 (November)
Pages: 607-630

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Handle: RePEc:kap:openec:v:20:y:2009:i:5:p:607-630

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Web page: http://www.springerlink.com/link.asp?id=100323

Related research

Keywords: Structural VAR; Multivariate GARCH; Monetary aggregation; C32; E52; E44;

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References

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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  2. Serletis, Apostolos & Shahmoradi, Akbar, 2006. "Velocity And The Variability Of Money Growth: Evidence From A Varma, Garch-M Model," Macroeconomic Dynamics, Cambridge University Press, vol. 10(05), pages 652-666, November.
  3. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May.
  4. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
  5. Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-44.
  6. William Barnett & Apostolos Serletis & W. Erwin Diewert, 2005. "The Theory of Monetary Aggregation (book front matter)," Macroeconomics 0511008, EconWPA.
  7. Mascaro, Angelo & Meltzer, Allan H., 1983. "Long- and short-term interest rates in a risky world," Journal of Monetary Economics, Elsevier, vol. 12(4), pages 485-518, November.
  8. Julio J. Rotemberg & John C. Driscoll & James M. Poterba, 1991. "Money, Output and Prices: Evidence from A New Monetary Aggregate," NBER Working Papers 3824, National Bureau of Economic Research, Inc.
  9. Michael T. Belongia, 1984. "Money growth variability and GNP," Review, Federal Reserve Bank of St. Louis, issue Apr, pages 23-31.
  10. McMillin, W Douglas, 1988. "Money Growth Volatility and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 319-35, August.
  11. Barnett, William A., 1978. "The user cost of money," Economics Letters, Elsevier, vol. 1(2), pages 145-149.
  12. Serletis, Apostolos & Uritskaya, Olga Y., 2007. "Detecting signatures of stochastic self-organization in US money and velocity measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 281-291.
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Cited by:
  1. Apostolos Serletis & Khandokar Istiak & Periklis Gogas, 2013. "Interest Rates, Leverage, and Money," Open Economies Review, Springer, vol. 24(1), pages 51-78, February.
  2. repec:clg:wpaper:2012-05 is not listed on IDEAS

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